Forward-looking physical tail risk: a deep learning approach

DOI10.1080/14697688.2026.2623897MaRDI QIDQ7313644zbMATH OpenFDO

Authors Jingyan Zhang, Cong Ma, Wim Schoutens

Publication date 13 August 2026

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2026.2623897

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites work

• Asset pricing theory.
• Bilateral gamma distributions and processes in financial mathematics
• Forward-looking portfolio selection with multivariate non-Gaussian models
• scientific article; zbMATH DE number 1253577 (Why is no real title available?)
• Moment-Implied Densities: Properties and Applications
• Nonparametric risk management and implied risk aversion
• Portfolio Optimization Using Forward-Looking Information*
• Quant GANs: deep generation of financial time series
• Self-similarity in long-horizon returns
• The pricing kernel puzzle: survey and outlook

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